Could you elaborate a bit? Maybe define what you mean by 'movie'? (are you after one with a plot?) The first (surviving) action recorded on film, anyway, is Roundhay Garden Scene from 1888. It was 2.11 seconds long.
– WaltOct 12 '15 at 2:03

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As far as I can remember, we are learned in elementary school that the first movie was "Arrival of a Train" from brothers Lumiere, but that was short film. I guess that you mean on the world's first feature film...
– IvanaMNEOct 12 '15 at 2:12

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@IvanaMNE Darn schools. ;) Not only do other films predate this 1895 film (like the one mentioned above and Fred Ott's Sneeze from 1894), it wasn't even the first Lumiere film (that would be Workers Leaving the Factory). And that's not even taking Horse In Motion into account, which was sequential photographs run through a primitive projector. That was back in 1878.
– WaltOct 12 '15 at 2:29

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@amy In short, since it would be rather hard to list all the 'firsts', what exactly are you looking for? The first motion picture ever? The first movie shot on a strip of film? The first movie shown to an audience? The first movie with a fictional plot? The first feature-length movie?...
– WaltOct 12 '15 at 2:56

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@Walt I just researched the net and found many interesting facts about the beginnings of cinema. You have the right... Darn schools! All these years I have lived in delusion, thanks to their education. :)
– IvanaMNEOct 12 '15 at 3:11

2 Answers
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Well, in terms of the first motion picture ever - i.e. use of the technology to make a moving picture - the credit may go to one of two people. Eadweard Muybridge is credited with inventing the methodology of stringing several photos together to create a moving picture (and creating the technology to take rapid sequential photographs to make this method feasible). He is famous for his horse video, which actually helped prove that horses take all four feet off the ground when they gallop:

However, Louis Le Prince is credited with the technical title of first proper motion picture footage, beating Muybridge by about a year. (This may - at least partially - be due to some... setbacks for Muybridge, including the fact that he had to stand trial for the murder of his wife's lover.) You can see Le Prince's footage of ocean waves on a French beach on youtube:

The first narrative film came out in 1902 - Trip to the Moon by magician Georges Mélièrs, who saw film as a good medium for doing magic tricks. You can see it here in its completely silent format, though most showings would have had a live narrator (and I'd always watched a DVD version that had narration added in):

The first feature film to have synchronized sound that included dialogue came out in 1927 - The Jazz Singer - though before that, the 1926 film, Don Juan, had a synchronized/prerecorded soundtrack. At least, these are the films that get the credit - people had been playing with the technology for decades before either film came out, and a few shorter pieces that used sound had come out much earlier. The two-minute film Cyrano de Bergerac (1900) is considered by many to be the first film to use both synchronized sound and color, though the footage was shot in black and white, and the color was later painted on certain parts of the film strips:

Many early films used this, admittedly often inexact, technique of painting the film strips, which could be considered color film. However, the first film footage to have natural color is from 1899. You can read about it and watch some of the footage in Steve Dent's 2012 article for engadget.com:

The celluloid, shot by inventor Edward Raymond Turner in 1899, was
actually in black and white and it was only through a curator's
research that its colorful significance was also unearthed.

When the footage was first shot, each frame was run consecutively
through red, green or blue gels, and the process needed to be reversed
during projection to reveal the color. Fortunately, a blueprint by the
inventor of how to do just that was also found, allowing the
institution's team to replicate the process digitally to produce the
final footage.

Very little is known about this English film, made for £10,000. It
uses the Kinemacolor process whereby two color filters are used in
taking the negatives and only two in projecting the positives. The
camera resembles the ordinary cinematographic camera except that it
runs at twice the speed, taking thirty-two images per second instead
of sixteen, and it is fitted with a rotating color filter in addition
to the ordinary shutter. This filter is an aluminum skeleton wheel.
The plot is to do baby swaps and mistaken identities, “with a few
gratuitous thrills and spills thrown in for good measure.” It should
be noted that this was preceded by a 2+ hour long feature color
documentary called “With our King and Queen through India” – that is
not included here because it is a documentary.

But what about the first feature film to have both sound and color? That gets just as messy as the other questions. The first film (generally speaking) that used both natural color and sound is probably the lost film of excerpts from La chauve souris in 1925. The first feature-length technicolor film with a soundtrack? Probably The Viking (1928). But the first completely technicolor, feature-length talkie (i.e. with actual synched dialogue)? Probably On With the Show! from 1929. As filmsite.org says:

The first all-color sound musical production (in two-strip
Technicolor) was Warners' and director Alan Crosland's backstage
musical On With the Show! (1929), famous for Ethel Waters singing "Am
I Blue?"

The earliest known historical record of a moving image projected onto a screen for an audience was in China around 370 BCE by Mozi using a camera obscura.

Keep in mind, this was not a recorded image, but a live projection. However, it was very much like a modern cinema in that the audience was in a dark room, a ray of light projected an image from behind the audience to a screen in front of them. However, the image was upside down. The historical record is silent regarding the sale of expensive snacks.

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